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Pré-Publication, Document De Travail Année : 2018

On the Root solution to the Skorokhod embedding problem given full marginals

Résumé

This paper examines the Root solution of the Skorohod embedding problem given full marginals on some compact time interval. Our results are obtained by limiting arguments based on finitely-many marginals Root solution of Cox, Oblój, and Touzi. Our main result provides a characterization of the corresponding potential function by means of a convenient parabolic PDE.
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Dates et versions

hal-01902839 , version 1 (23-10-2018)
hal-01902839 , version 2 (17-12-2019)

Identifiants

  • HAL Id : hal-01902839 , version 1

Citer

Alexandre Richard, Xiaolu Tan, Nizar Touzi. On the Root solution to the Skorokhod embedding problem given full marginals. 2018. ⟨hal-01902839v1⟩
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